A note on a vector-variate normal distribution and a stationary autoregressive process

DOI10.1006/jmva.1999.1837zbMath0976.62085OpenAlexW2074575304MaRDI QIDQ1975076

T. W. Anderson

Publication date: 4 June 2000

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/e73fb70757b913ca61a324707168602578f45184

zbMATH Keywords

eigenvaluesGaussian processesweak stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (1)

Identifying dynamical time series model parameters from equilibrium samples, with application to gene regulatory networks

Cites Work

• Unnamed Item
• A note on matrix variate normal distribution

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